Behavioral Biases among Institutional Investors and Price Mechanism of Japanese Securities Market : Fusion of Survey and Experimental Study Approaches

《日本机构投资者的行为偏差和激励结构》根据2005年和2003年的问卷调查数据，对显性激励和隐性激励与行为偏差的关系进行了研究。每周更长的工作和研究时间减轻了基金经理的行为偏见。然而，我们并没有发现日本基金管理公司对基金经理有合适的内部激励结构的事实。风险一致性与职业基金经理的投资行为--以日本市场为例，考察了日本基金经理的风险一致性、羊群行为和处置效应。他们发现，“风险不一致”的基金经理有处置行为的倾向。More Evidence of Home Bias通过实地调查发现，日本机构投资者对本国股市的看法比对外国股市的看法相对乐观。一年的经验 ...更多信息 日经平均指数的预期回报率平均远高于道琼斯工业平均指数。这种家庭偏见似乎与认知偏见假说相一致。在2005年的调查中，年长和经验丰富的投资者往往表现出更强的本土偏好。噪音交易者什么时候会影响股价？通过实验研究，建立了一个信息交易者和噪声交易者共存的实验室股票市场。他们的实验室结果表明，股票价格是容易受到噪音的信息在金融market.Index基金和流动性：实证和实验检验检验的定价模式之前/之后的两个重要变化的被动投资方针和基准指数的修订时间。这些变化影响了在事件中提供流动性的对冲基金的行为。实证研究表明，指数基金行为变得不可预测后，对冲基金策略的盈利能力降低，市场流动性降低，导致指数基金再平衡成本增加。少

Behavioral Biases and Incentive Structure of Japanese Institutional Investors investigated relation of both explicit and implicit incentives with behavioral biases based upon the survey data of questionnaire conducted in 2005 and 2003. Longer working and research hours a week mitigates the fund managers' behavioral biases. However, we did not find the fact which indicates the Japanese fund management companies have appropriate internal incentive structure for fund managers.Risk Consistency and Professional Fund Managers` Investment Behavior : Questionnaire-based Analysis on Japanese Market investigated risk consistency, herding behavior and disposition effect in Japanese fund managers. They found that 'risk inconsistent' fund managers have a tendency to show disposition behavior.More Evidence of Home Bias used field surveys to show that Japanese institutional investors held relatively optimistic views for their domestic stock market than for the foreign stock market. Their one-year exp … More ected returns for the Nikkei Stock Average were on average much higher than those for the Dow Jones Industrial Average. Such home bias seems to be consistent with a cognitive bias hypothesis. Older and more experienced investors tended to show stronger home bias in the 2005 survey.When does a noise trader affects stock prices? An experimental study creates laboratory stock market in which informed traders and noise traders co-exist. Their laboratory results suggest that stock prices are vulnerable to noisy information in the financial market.Index Fund and Liquidity : Empirical and Experimental Examination examines the pattern of pricing before/after two important changes of the passive investment guideline and the timing of benchmark index revisions. The changes affect a behavior of hedge fund who provides liquidity at the events. An experimental study shows that profitability of hedged fund strategy is reduced after an index fund behavior becomes less predictable, market liquidity is lowered and it results in higher cost of rebalancing for index funds. Less